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CAROL COSTELLO, CNN ANCHOR: -- illegally. His tweet, "I will be asking for a major investigation into voter fraud, including those registered to vote in two states, those who are illegal and even, those registered to vote who are dead and many for a long time. Depending on results, we will strengthen up or voting procedures!" Let's go straight to the White House now. Sara Murray is there. Good morning.

SARA MURRAY, CNN WHITE HOUSE CORRESPONDENT: Good morning, Carol. Well, it's clear that this is -- something that Donald Trump really does believe, that there was widespread voter fraud during the presidential campaign. Now, of course, there is no evidence to back that up. But his Press Secretary Sean Spicer was questioned extensively about why the president believes this and whether Spicer himself believes it by my colleague, Jeff Zeleny. Listen to what he had to say.

(BEGIN VIDEO CLIP)

JEFF ZELENY, CNN SENIOR WHITE HOUSE CORRESPONDENT: You said that the president believes that there was voter fraud. I wonder if you believe that. You were at the Republican National Committee at that time and Chief of Staff Reince Priebus was the chairman of the RNC at that time. Do you believe there was widespread voter fraud? --

SPICER: No, he's very comfortable with his win. It's an electoral- based system. He got 306 electoral votes. 33 of 50 states voted for him. I think, look, Jeff, I have asked and answered this question twice. He believes what he believes based on the information he's been provided. Yes, ma'am.

ZELENY: What does that mean for a democracy, though, Sean?

(CROSSTALK)

ZELENY: If he does believe that, what does that mean for democracy?

SPICER: It means that I have answered your question.

ZELENY: Have you?

(END VIDEO CLIP)

MURRAY: Now, Trump's call for this investigation into voter fraud comes as Democrats, some Republicans on the Hill, Secretaries of State across the country and even Donald Trump's own lawyers during the campaign insist that there was no evidence of this widespread voter fraud. And it's interesting timing to pick this fight because it comes on a day when Donald Trump was already poised to begin to execute on a number of his key campaign promises.

We're expecting him to go to the Department of Homeland Security later on today where he's going to move forward with Executive Action to begin, sort of adding on to that border wall. The wall he said that he would build during the presidential campaign to add 5,000 additional border patrol officers. And also, to look into the aid that's being given to Mexico, that could be another opportunity for Donald Trump to look for a source of funding to pay for this wall. That he now says that Mexico will reimburse us for.

But obviously, there are multiple storylines showing into this day and it does make you wonder, Carol, why the Trump administration didn't want to focus squarely on these Executive Actions rather than a sort of side story about a vote fraud investigation.

COSTELLO: It's an interesting question. We're going to get into that, Sara Murray, reporting live from the White House. So, that major investigation into voter fraud - it's not exactly the same, but it takes you back to November, when Green Party candidate Jill Stein sued for a recount in Michigan, Wisconsin, and Pennsylvania. Republicans were incredulous, including Donald Trump. This is what he tweeted at the time. "The Green Party scam to fill up their coffers by asking for impossible recounts is now being joined by the badly defeated and demoralized Dems." So, how times have changed, Mr. Trump is now demanding a nationwide voter fraud investigation.

Joining me now to talk about this is Doug Heye, Republican strategist and former RNC communications director, Larry Sabato, he's the director of the University of Virginia, Center for Politics and Kayleigh McEnany is a CNN political commentator. Welcome to all of you. Kayleigh, I do want to start with you. In light of what I just said, if Mr. Trump thinks there is massive voter fraud, is his presidency legitimate?

KAYLEIGH MCENANY, CNN POLITICAL COMMENTATOR: It is legitimate. There have been allegations of voter fraud going around for some time from Republicans, in particular, after a study came out that's actually cited in CNN -

COSTELLO: But Kayleigh, if there is widespread voter fraud. How can Trump's presidency be legitimate?

MCENANY: Well, look, I think he's asking for people to look into it based on information he has. It is a legitimate presidency. We have an Electoral College based system. But he wants people to look into this. And there was a study conducted in 2014 that showed 6 percent of noncitizens actually did vote. That would mean hundreds of thousands of noncitizens voted. It was a peer-reviewed study. So, I think --

COSTELLO: -- Registered improperly. But they found no evidence that anyone ever cast a fraudulent vote. -

(CROSSTALK)

MCENANY: Not true. Carol, they also --

COSTELLO: I have it right here. -

MCENANY: They also found 6 percent. Yes, that was two findings. There were two findings in the study. One was 14 percent registered. Number two was 6 percent actually voted. There were two findings in the study.

COSTELLO: All right. I'm going to bring in Kristen Clarke. She's the president and executive director of the Lawyers Committee for Civil Rights Under Law. She studies things like voter fraud. Is Kayleigh right?

KRISTEN CLARKE, PRESIDENT AND EXECUTIVE DIRECTOR LAWYERS COMMITTEE FOR CIVIL RIGHTS UNDER LAW: Absolutely not. My organization, the Lawyers Committee for Civil Rights Under Law, does this work all over the country. We run an election protection hotline where we hear from voters. And the number one complaint that we hear from voters is about voter suppression, the obstacles and barriers that people face as a result of photo I.D. requirements and proof of citizenship requirements all over the country. American citizens are having trouble accessing the ballot box.

[10:05:10] So, this notion that there are undocumented people by the millions who are casting elections in -- casting ballots in our elections is false. What they're trying to do is set the stage for voter suppression tactics to be put in place around the country. --

COSTELLO: Right. And I will only add -

CLARKE: And it's just anti-Democratic.

COSTELLO: I will only add one more thing about that 2014 study, because we had somebody who was involved in that study on CNN last night who said that Donald Trump misinterpreted the results. So, there is no evidence, you know, in citing that study that you're talking about, Kayleigh, that anyone, like there was massive numbers of people voting fraudulently. So, I want to go to you, Doug. Why is this going on at this particular time, when Donald Trump is sitting down and he's delivering on what he promised which would make people who voted for him very happy. Why muddy the waters with this?

DOUG HEYE, CNN POLITICAL COMMENTATOR AND FORMER RNC COMMUNICATIONS DIRECTOR: I think it's a very good question. If you talk to Congressional Republicans who right now are preparing to go on their annual retreat. And they'll meet with Trump and Vice President Pence. This is the Yin and the Yang of where Congressional Republicans are and a lot of Republicans are with Donald Trump right now. He's done so much, this morning, yesterday morning with Executive Orders. As you say, following on his promises that they're excited about.

There's also a lot of anxiety that we're going off message, off topic in talking about these things that Congressional Republicans don't think are real as far as widespread voter fraud. They believe that -- he's the legitimate president because he won a legitimate and fair election. And I'd agree with the original Donald Trump tweet about Jill Stein and the Green Party. That was the right message, which is why muddying these waters right now is troubling to a lot of Republicans who want to be excited about a lot of the things that he's done just these past few days.

COSTELLO: So Larry, you, like me have been around forever and ever. So, as you sit back and you watch this, what's really going on here?

LARRY SABATO, DIRECTOR UNIVERSITY OF VIRGINIA CENTER FOR POLITICS: Well, with Donald Trump, it's always a giant question. I think the best explanation is that this isn't a plot to add additional restrictions on who can vote and how they vote, it's really just Donald Trump. It has stuck in his craw since November that he lost the popular vote by 2.9 million, far more votes than anyone has ever lost the popular vote by, and yet still ended up in the White House. That has stuck in his craw.

And he thinks at some level that enables people to question his legitimacy. He is a legitimate president. He was elected president. He was installed as president. He's taking the actions that a president does. But he's actually hurting himself. This is self-destructive behavior, not just because he's stepping on his own story in the first week of his presidency, but also because it opens up to his critics the questions that they've been raising about Donald Trump for two years.

COSTELLO: So, Kayleigh, is Larry partially -- because what if Donald Trump launches this nationwide investigation and the results come back, as everyone expects, that there is no widespread voter fraud in this country? MCENANY: Well, he should of course accept the results. If you commission a study and you get the results, you should trust the people doing the study and accept those results. And I can agree with Doug on whether this should be a priority. I don't think it should be. But those out there who are saying Donald Trump is lying, you know, number one, it's impossible to prove a negative. It's impossible to prove that millions of people did not vote. That's just impossible to prove. So, it's not a lie. -

CLARKE: That's not true.

MCENANY: And number two. That study found that 6 percent of noncitizens told a Congressional study, yes we voted. 6 percent equals hundreds of thousands. It's not millions. It does equal hundreds of thousands. So, my point is, for those saying that he's lying, give him a chance to present his evidence, give him a chance to commission the study. We can talk about whether the study should go commissioned in the first place. But we can't say Donald Trump is lying because it's impossible to prove that.

COSTELLO: So, Kristen, I would assume that you've looked at these studies that Donald Trump has cited. And even though we had -- you know somebody who was in charge of the study on last night who said Donald Trump misinterpreted the results and there is no evidence of widespread voter fraud. When you look at these studies, what do you see?

CLARKE: I see baseless and unsubstantiated allegations that suggest undocumented people are voting, that there are people impersonating the dead and it's just false. I think, this president has had since November to come forth and proffer evidence and you can't because there is none. What we do know is that voter suppression is real. We know that there are 600,000 people in Texas -- who couldn't vote when they put a voter I.D.

(CROSSTALK)

COSTELLO: -- Right, I understand about it. I want to concentrate on voter fraud right now, Kristen, if we may because I think it's really important. Because Doug, when Donald Trump or members of his cabinet go to other countries and talk to them about America being the greatest country in the world, the greatest democracy. How can they look at him and say, you know what, you have widespread voter fraud in your country, what are you talking about?

[10:10:12] HEYE: That's a real problem. We should remember this isn't just about us. This is about the message that we constantly send out not just every four years when we have an inauguration and election, but every two years, and every day of American democracy. That we send out this message that we're a beacon of hope for the world. This undermines that message and it sends that message to the rest of the world that they can question us.

And we know that China and Russia would - very actively like some assistance on that. That helps us. But I should say also, Carol, that a lot of people were very critical of Sean Spicer the past couple of days. I watched every second of his last two press conferences.

And -- when you're the spokesman for a politician like that, your job, number one, is to not get in the way and not disagree with your boss. Sean Spicer did his job and acquitted himself amazingly well under very difficult circumstances. I thought Jeff Zeleny asked a very good and smart question that Sean would have made a mistake if he had speculated on what the RNC thought were added his own personal opinions. That's not his job. Sean Spicer did a great job yesterday and the day before.

COSTELLO: He is. He's a fast learner. I have to leave it there. Doug Heye, Larry Sabato, Kayleigh McEnany and Kristen Clarke, thanks so much.

Still to come in the NEWSROOM, it was a cornerstone of President Trump's campaign. Now he's promising to follow through on his pledge to build that wall.

(COMMERCIAL BREAK)

[10:15:28] COSTELLO: In just a few hours from now, President Trump launches a multi-day blitz of immigration reforms and chief among them, delivering on that core promise of his campaign. He will order construction begin on a border wall separating the United States from Mexico, this, as the president's top aides, meet with high level Mexican leaders today. They'll set the stage for the upcoming high stakes meeting between President Trump and his Mexican counterpart, Enrique Pena Nieto.

Despite Mexico's concerns though, President Trump is intent on building that wall. For Trump's supporters, he's following through on a campaign promise. But the challenges are enormous. How much will the wall cost? Who will eventually pay for it? How long will the wall be? Will it all be all? Will it partially a fence? How do you build a wall, by the way, in terrain that looks like this? These are the rugged mountainous areas along the border between Mexico and the United States.

With me now to talk about this, CNN correspondent, Leyla Santiago, she's in Mexico City. Larry Sabato and Kayleigh McEnany are back with me. And David Rohde is also here, CNN global affairs analyst. So, welcome to all of you. Leyla, I want to start with you and this meeting today. What do you think will happen?

LEYLA SANTIAGO, CNN CORRESPONDENT: Well, you know, there's certainly going to be talk about free trade, and given Trump's tweet last night and the mounting pressure here in Mexico City for this delegation to sort of stand firm and protect Mexico's national interests. There is certainly going to be talk about that wall. But yesterday, I can tell you, the economic minister here said that if the U.S. pushes Mexico to try to pay for that wall or if they try to tax remittances, they will walk away from any sort of negotiations that don't protect their interests, any free trade deal that doesn't protect the interests of Mexico.

So, I think today, those will be the big talking points, immigration and free trade. But Mexico, the delegation from Mexico, has to sort of somehow stand its ground given the mounting pressure here at home, even calls for cancellation of the meeting from some Mexican senators here, Carol.

COSTELLO: So, David, I can hear a lot of Americans saying, who cares if Mexico walks away, what's the big deal?

DAVID ROHDE, CNN GLOBAL AFFAIRS ANALYST: Well, the concern is Mexico is one of our largest trading partners. We need to renegotiate NAFTA, according to President Trump, and you have to go through a negotiation process. So, alienating the Mexicans on the day that they're coming, you know, the start of this process, the start of diplomacy, could make those negotiations harder. And in the end, if we - you know, have a trade war with China, another huge trade partner, and with Mexico, that could harm American jobs. And to be fair, President Trump has done an excellent job of focusing on jobs in his first full week in office. But the wall, this style of diplomacy, could complicate creating those jobs.

COSTELLO: OK. So, Kayleigh, it could get pretty complicated. We don't know. I'm sure Mr. Trump will say more about the wall and how he plans to fund it. But we don't know the answers to that question, of course. So, is it a little premature for Mr. Trump to sign an Executive Order when those things remain up in the air?

MCENANY: Look, I know as part of the Executive Order, reportedly he's going to commission a group to outline the amount of foreign aid we give to Mexico. And potentially what that says to me is, some of this aid might be drawn back and put towards the wall. And that may be a way to make Mexico pay for it, because money that was slotted to go to Mexico in fact will not go there.

So, I think, he's going through these steps he has to go through to figure out how to pay for this. I know members of his transition team were meeting with the U.S. Army Engineers Corps, finding out exactly what they would need to do, what the price would be, how much walling they would need. So, I know that they have gone to painstaking detail to try to find out how to do this and to do it in a way that's affordable.

COSTELLO: So, Larry, it's going to be expensive to build that wall. There's 2,000 miles between the U.S. and Mexico. I mean, some of it is already fenced, right? -- Some of it is walled, some of it is fenced. There's rugged terrain there. And I think the general accounting office said per mile of wall could cost between $1 and $4 million, that's per mile. So I'll ask you the same question. Is it premature of Donald Trump to sign this Executive Order when we really don't know how he's going to pay for this?

SABATO: Well, it's going to be interesting to see whether the Republicans in Congress start to question him about how exactly we are going to pay for this. Because in other administrations, certainly the Obama administration, Republicans have demanded to know where the money is coming from. How is this going to fit into the budget? And they were very concerned about budget deficits, the overall national debt. [10:20:13] But on the other side of it, as unwise as this wall may be, and I'm one of those who thinks it's very unwise, President Trump ran on this. In fact it was one of the two or three most prominent promises that he made on the campaign trail at virtually every rally. You can't hold it against him that he's trying to fulfill a campaign pledge even if people who have evaluated it think it's unwise.

COSTELLO: So, Leyla, can Mexico afford to pay for the wall, if it comes to that?

SANTIAGO: I asked the Consul General that very question, the Consul General of Los Angeles, where there is of course, a big population of Mexicans there. That very question and he said no, we can't afford it and we're not going to do it. Right now, Mexico has its own set of problems, given that the Mexican president just raised the gas prices here. That caused some protest. And also the Peso is plunging right now. So, Mexico has its own set of problems, and they have said over and over, we are not going to pay for that wall.

But one of the interesting things that the president did mention just a few days ago, he laid out a ten-point plan talking about his strategy with the U.S. and this new administration and he talked about security. Because remember, he says this is a win-win situation. We should be working together to ensure security on that U.S./Mexico border. The majority of the people crossing that border without permission are from Central America. They are not from Mexico. So, the Mexican president believes that the U.S. and Mexico should be working together to ensure security on that border.

COSTELLO: OK. I want to switch topics just a little bit, because Mr. Trump is also expected to take action on other immigration issues, specifically refugees. He wants to suspend the refugee program for 120 days, which means, you know, refugees from Syria, for example, could not come into the United States for 120 days. The interesting thing that happened today, and David, I'll pose this to you.

The Pentagon, the Department of Defense, tweeted this out this morning. Let's take a look. Let's put it up on the screen so we can all look at it together. "From refugee to Marine, Corporal Ali Muhammad takes the fight to the doorstep of those who cast his family out."

Now, this man, he was raised in Baghdad. Before he joined the service, his sister worked as a translator for the United States. His family moved to the U.S. when he was 16 because of threats his family was receiving for helping the United States while they lived in Iraq. And then, of course, this man became a Marine. And I just find it interesting that the DoD would tweet this out, David.

ROHDE: Yes, I'm surprised. I don't know much about the tweet. But it seems to be, that they're hitting on this larger issue. To win the war against ISIS, to win the war against radical Islamic terrorism, the term President Trump uses. You have to have Muslim allies join the United States to fight these people on the ground. And the danger, we don't know the details yet of this ban, but if the ban on visas are all from predominantly Muslim countries, that plays into ISIS recruitment efforts. It will be viewed in the region as a ban on Muslims in general. And that will hurt our ability to get Muslim allies to fight this extremism.

COSTELLO: But Larry, again, that was a big campaign promise of Donald Trump, and he's delivering on it.

SABATO: That's right. I don't think anybody is surprised that he's doing it. And if you want politicians to fulfill the promises they made on the campaign trail, that's what Donald Trump is doing. Having said that, I think David is absolutely right. This is very harmful to our overall efforts abroad particularly in the wars we're participating in right now. And one wonders long term, if this becomes permanent, this is a temporary ban, if it becomes permanent, I wonder if it is going to be challenged in our courts under the constitutional ban on religious tests.

COSTELLO: I have to leave it there. Larry Sabato, Kayleigh McEnany, David Rohde, and Leyla Santiago, thanks to all of you.

Coming up in the NEWSROOM, President Trump getting slammed for those false voter fraud claims, Nancy Pelosi is set to speak to reporters any minute now. I'll be back.

(COMMERCIAL BREAK)

[10:29:07] COSTELLO: And good morning, I'm Carol Costello. Thank you so much for joining me. History made on Wall Street, we hit 20,000. Let's head to the floor and Paul La Monica. Good morning.

PAUL LA MONICA, CNN DIGITAL CORRESPONDENT: Thanks a lot Carol. Yes, the Dow finally topping the 20,000 level. It was extremely loud and festive at the market open at 9:30 a.m. Things have quieted down a little bit now. But some perspective, with the Dow at 20,000, you've had a lot of enthusiasm about the Donald Trump administration and what he might do for the economy, helping to push the market higher.

Boeing which reported their results this morning, they're at an all- time high. Defense stocks are surging because of Trump. Financials as well, Visa, another Dow component. That too is trading at record. And a lot of people think that even though Donald Trump was at odds with Silicon Valley during the campaign trail, things have cooled off there too. Google, which isn't in the Dow, is at an all-time high also. So, you've got a lot of blue chip companies leading the market higher. Carol?